Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0822
Annualized Std Dev 0.2030
Annualized Sharpe (Rf=0%) 0.4047

Row

Daily Return Statistics

Close
Observations 5173.0000
NAs 1.0000
Minimum -0.1117
Quartile 1 -0.0052
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0066
Maximum 0.1091
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0128
Skewness -0.1514
Kurtosis 7.5770

Downside Risk

Close
Semi Deviation 0.0092
Gain Deviation 0.0090
Loss Deviation 0.0098
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0090
Downside Deviation (0%) 0.0090
Maximum Drawdown 0.5401
Historical VaR (95%) -0.0200
Historical ES (95%) -0.0305
Modified VaR (95%) -0.0192
Modified ES (95%) -0.0321
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2011-04-26 -0.5401 981 443 538
2001-05-23 2003-03-12 2006-10-12 -0.4149 1355 450 905
2020-02-20 2020-03-23 2020-08-05 -0.3331 117 23 94
2018-09-28 2018-12-24 2019-04-12 -0.2065 135 60 75
2000-07-17 2000-12-20 2001-05-21 -0.1898 182 79 103

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA -0.4 -0.4 -0.7 -1.2 0.6 1 0.6 -0.5
2001 -0.5 -1.6 0.6 2.1 0 1.6 -0.4 1.4 -1.1 1.1 1.4 -1 3.5
2002 -0.9 2.3 -1.3 1.6 1 -3 -2.9 0 2.1 1.5 -0.5 1.3 1
2003 0.2 1.2 -0.6 -0.4 1.5 0.1 -0.8 0.5 2.4 0 0.6 0.2 5
2004 -0.6 1.2 -0.3 -0.2 0.2 -1.2 -0.2 0.2 1.1 0.2 1.8 -0.3 1.8
2005 0.3 1 -1.2 0.1 0.7 0.1 0.2 -1 0.6 0.3 1 -0.5 1.7
2006 0.5 0.7 -0.1 0 1.4 0 -1.1 0.9 -0.4 -1.1 -0.2 -0.4 0.1
2007 0.2 -0.3 -0.1 0.2 0.9 -0.1 0.3 1.3 0.5 -2.5 1.8 -0.5 1.5
2008 1.8 -2.6 3.9 2.5 -0.6 0.2 -0.5 -0.8 -1 2.1 -7.4 2.2 -0.7
2009 -2.8 0.1 1.8 -0.4 3.8 0.4 -0.3 -1.5 -1.8 -2.3 1.3 -1.1 -3
2010 1.1 1.3 0.5 -1.8 -1.6 0.8 0.6 3.2 0.1 -0.1 1.8 -0.4 5.7
2011 1.5 -1.6 0.7 0.1 -2 1.7 -0.7 -1.2 -2.5 -2 0.1 -0.5 -6.2
2012 0.8 0.5 0.2 0.4 -2.7 2.2 -0.6 0.4 0.1 0.9 0.5 1.8 4.5
2013 0.8 0.6 -0.5 -0.2 -1.1 0.7 1.3 -0.7 0.9 0.4 0.1 0.1 2.5
2014 -0.9 0.4 1.2 0.3 0.3 1 -0.1 -0.1 -1.5 0.9 -1 -0.5 0.1
2015 -1.4 -0.2 -0.6 1.4 0.2 1 0.4 -2.2 0.6 -0.2 1.1 -0.9 -1
2016 0.6 2.1 0.6 0.1 0.2 0.8 0.1 0.3 0.9 -0.7 -0.2 -0.8 4
2017 -0.2 0.8 0.1 0.2 1.1 0.2 0.4 0.3 0.3 0.1 -0.1 -0.6 2.7
2018 -1 -1.1 1.3 0.2 0.5 -0.1 -0.4 0.5 -0.3 2 0.1 1.2 3
2019 -1.3 0.6 1.1 -0.8 -1.2 0.8 -0.9 -0.3 -0.7 0.5 -0.6 0 -2.9
2020 -0.6 -1.2 -4.1 -2.8 0.9 1.2 0.1 1.2 1.2 -1.6 0.9 0.2 -4.7
2021 1.2 1.9 0.8 NA NA NA NA NA NA NA NA NA 4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-06-28  14.9 SPY    146.  0.0028  -0.0154   0.0199  -0.0374   0.0625       NA       NA <NA>     NA    NA       NA
2 2000-06-30  14.9 SPY    145.  0.0076   0.0063  -0.0002  -0.0339   0.0421       NA       NA <NA>     NA    NA       NA
3 2000-07-06  15.2 SPY    146.  0.0078   0.0013  -0.0049  -0.023    0.0435       NA       NA <NA>     NA    NA       NA
4 2000-07-07  15.6 SPY    148.  0.0161   0.0271   0.0041  -0.0159   0.054        NA       NA <NA>     NA    NA       NA
5 2000-07-14  15.9 SPY    151.  0.0098   0.0213   0.023    0.0485   0.0665       NA       NA <NA>     NA    NA       NA
6 2000-07-17  15.9 SPY    151  -0.0017   0.0213   0.0192   0.0912   0.0719       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart